Rogemar S. Mamon

Orcid: 0000-0003-0885-7685

According to our database1, Rogemar S. Mamon authored at least 28 papers between 2004 and 2024.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of five.

Timeline

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Bibliography

2024
Examining the identifiability and estimability of the phase-type ageing model.
Comput. Stat., April, 2024

A comparison of three algorithms in the filtering of a Markov-modulated non-homogeneous Poisson process.
Int. J. Syst. Sci., March, 2024

2023
A Hybridized Stochastic SIR-Vasiček Model in Evaluating a Pandemic Emergency Financing Facility.
IEEE Trans. Comput. Soc. Syst., 2023

Modelling health-data breaches with application to cyber insurance.
Comput. Secur., 2023

The Price Tag of Cyber Risk: A Signal-Processing Approach.
IEEE Access, 2023

2022
An enabling framework for automated extraction of signals from market information in real time.
Knowl. Based Syst., 2022

2021
An automated financial indices-processing scheme for classifying market liquidity regimes.
Int. J. Control, 2021

Online estimation for a predictive analytics platform with a financial-stability-analysis application.
Eur. J. Control, 2021

2018
Putting a price tag on temperature.
Comput. Manag. Sci., 2018

2017
Risk measurement of a guaranteed annuity option under a stochastic modelling framework.
Math. Comput. Simul., 2017

A computing platform for pairs-trading online implementation via a blended Kalman-HMM filtering approach.
J. Big Data, 2017

2016
Modelling high-frequency FX rate dynamics: A zero-delay multi-dimensional HMM-based approach.
Knowl. Based Syst., 2016

Filtering of a Discrete-Time HMM-Driven Multivariate Ornstein-Uhlenbeck Model With Application to Forecasting Market Liquidity Regimes.
IEEE J. Sel. Top. Signal Process., 2016

A self-updating model driven by a higher-order hidden Markov chain for temperature dynamics.
J. Comput. Sci., 2016

2014
A Higher-Order Hidden Markov Chain-Modulated Model for Asset Allocation.
J. Math. Model. Algorithms Oper. Res., 2014

2013
A comonotonicity-based valuation method for guaranteed annuity options.
J. Comput. Appl. Math., 2013

Pricing and risk management of interest rate swaps.
Eur. J. Oper. Res., 2013

2012
An accessible implementation of interest rate models with Markov-switching.
Expert Syst. Appl., 2012

2010
A partially linearized sigma point filter for latent state estimation in nonlinear time series models.
J. Comput. Appl. Math., 2010

2009
An online estimation scheme for a Hull-White model with HMM-driven parameters.
Stat. Methods Appl., 2009

Valuation of contingent claims with mortality and interest rate risks.
Math. Comput. Model., 2009

2008
A new moment matching algorithm for sampling from partially specified symmetric distributions.
Oper. Res. Lett., 2008

Adaptive signal processing of asset price dynamics with predictability analysis.
Inf. Sci., 2008

A new algorithm for latent state estimation in non-linear time series models.
Appl. Math. Comput., 2008

2007
Recovery of Time-Dependent Parameters of a Black-Scholes-Type Equation: An Inverse Stieltjes Moment Approach.
J. Appl. Math., 2007

2006
An alternative approach to solving the Black-Scholes equation with time-varying parameters.
Appl. Math. Lett., 2006

2005
Explicit solutions to European options in a regime-switching economy.
Oper. Res. Lett., 2005

2004
Three ways to solve for bond prices in the Vasicek model.
Adv. Decis. Sci., 2004


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